A composite Chebyshev finite difference method for nonlinear optimal control problems

In this paper, a composite Chebyshev finite difference method is introduced and is successfully employed for solving nonlinear optimal control problems. The proposed method is an extension of the Chebyshev finite difference scheme. This method can be regarded as a non-uniform finite difference scheme and is based on a hybrid of block-pulse functions and Chebyshev polynomials using the well-known Chebyshev–Gauss–Lobatto points. The convergence of the method is established. The nice properties of hybrid functions are then used to convert the nonlinear optimal control problem into a nonlinear mathematical programming one that can be solved efficiently by a globally convergent algorithm. The validity and applicability of the proposed method are demonstrated through some numerical examples. The method is simple, easy to implement and yields very accurate results.

► A composite Chebyshev finite difference method is introduced.
► The method is based on a hybrid of block-pulse functions and Chebyshev polynomials.
► Various types of nonlinear optimal control problems are successfully solved.
► The method converts the original problem into a mathematical programming one.
► The convergence of the proposed method is established.